Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Тест Ґранджера на причинність× | Тест меж ARDL (Тест меж Pesaran)× | |
|---|---|---|
| Галузь | Економетрика | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 1969 | 2001 |
| Автор методу≠ | Clive W. J. Granger | Pesaran, Shin & Smith |
| Тип≠ | Time-series predictive causality test | Cointegration test / Autoregressive distributed lag model |
| Основоположне джерело≠ | Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438. DOI ↗ | Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds Testing Approaches to the Analysis of Level Relationships. Journal of Applied Econometrics, 16(3), 289–326. DOI ↗ |
| Інші назви | Granger causality test, Granger non-causality test, predictive causality test, Granger Nedensellik Testi | Pesaran bounds test, bounds testing approach, ARDL cointegration test, ARDL Sınır Testi (Pesaran Bounds Test) |
| Пов'язані≠ | 5 | 4 |
| Підсумок≠ | The Granger causality test, introduced by Clive W. J. Granger in 1969, assesses whether the past values of one time series help predict another beyond what the latter's own past already explains. It defines causality in a strictly predictive sense rather than as a structural or physical cause. | The ARDL bounds test is an autoregressive distributed lag method that tests for a cointegrating (long-run level) relationship between time series, introduced by Pesaran, Shin and Smith in 2001. Unlike the Johansen procedure, it remains valid whether the variables are I(0), I(1) or a mix of the two, and it is more reliable than Johansen in small samples of roughly 30 to 80 observations. |
| ScholarGateНабір даних ↗ |
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